Principal Component Analysis – Overview
3 mins read Principal components analysis (PCA) is a way to analyze the yield curve. It makes use of historical time series data
Building an HJM Model in EXCEL – Determine Prices
2 mins read Earlier we had defined the input and calculation cells for the Heath-Jarrow-Merton (HJM) multifactor no-arbitrage model in EXCEL. In this
Corporate Finance Training Course Guide Road Map
4 mins read You would like to study corporate finance and have no idea where to start? Start here. Think of finance as
Building an HJM Model in EXCEL – Define calculation cells
2 mins read Earlier we had defined the input cells for the Heath-Jarrow-Merton (HJM) multifactor no-arbitrage model in EXCEL. In this post we
Building an HJM Model in EXCEL – Define input cells
2 mins read In this and a couple of the following posts we will be demonstrating how a Heath-Jarrow-Merton (HJM) three factor no-arbitrage
CIR Model – Simulating the term structure of interest rates
2 mins read Earlier we had estimated the parameters of the Cox-Ingersoll-Ross (CIR) model from market data. We now apply these estimated parameters